Nicolas Privault : Citation Profile


Are you Nicolas Privault?

2

H index

1

i10 index

38

Citations

RESEARCH PRODUCTION:

13

Articles

3

Papers

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 2
   Journals where Nicolas Privault has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 2 (5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr35
   Updated: 2019-10-15    RAS profile: 2017-08-02    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Nicolas Privault.

Is cited by:

Aase, Knut (5)

El-Khatib, Youssef (2)

Tebaldi, Claudio (2)

Hatemi-J, Abdulnasser (2)

Loisel, Stéphane (2)

Prigent, Jean-Luc (1)

Chen, Wei (1)

Lütkebohmert, Eva (1)

Rulliere, Didier (1)

Cites to:

Müller, Alfred (4)

Rulliere, Didier (3)

Strulovici, Bruno (3)

Meyer, Margaret (3)

Loisel, Stéphane (3)

Benhamou, Eric (2)

El-Khatib, Youssef (1)

Scarsini, Marco (1)

Main data


Where Nicolas Privault has published?


Journals with more than one article published# docs
Statistics & Probability Letters5
Quantitative Finance2
Finance and Stochastics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org2

Recent works citing Nicolas Privault (2018 and 2017)


YearTitle of citing document
2018Viable Insider Markets. (2018). Draouil, Olfa ; Oksendal, Bernt. In: Papers. RePEc:arx:papers:1801.03720.

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2018Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus. (2018). Yilmaz, Bilgi. In: Papers. RePEc:arx:papers:1806.06061.

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2017Functional Cramér–Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes. (2017). Musta, Eni ; Trevisan, Dario ; Pratelli, Maurizio . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:135-146.

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2019Linear Volterra backward stochastic integral equations. (2019). Hu, Yaozhong ; Oksendal, Bernt. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:2:p:626-633.

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2018Malliavin differentiability of indicator functions on canonical Lévy spaces. (2018). Suzuki, Ryoichi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:183-190.

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2018Computation of the Delta of European options under stochastic volatility models. (2018). Yolcu-Okur, Yeliz ; Inkaya, Alper B ; Yilmaz, Bilgi ; Sayer, Tilman. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0316-y.

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2018Sensitivity analysis of long-term cash flows. (2018). Park, Hyungbin. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0370-x.

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2017Optimal portfolio positioning within generalized Johnson distributions. (2017). Prigent, Jean-Luc ; Naguez, N. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1037-1055.

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Works by Nicolas Privault:


YearTitleTypeCited
2009SURE shrinkage of Gaussian paths and signal identification In: Papers.
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paper1
2013Hedging in bond markets by the Clark-Ocone formula In: Papers.
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paper0
2004A Malliavin calculus approach to sensitivity analysis in insurance In: Insurance: Mathematics and Economics.
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article0
2016Large deviations for Bernstein bridges In: Stochastic Processes and their Applications.
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article0
2017Conditional Stein approximation for Itô and Skorohod integrals In: Statistics & Probability Letters.
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1999Multiple stochastic integral expansions of arbitrary Poisson jump times functionals In: Statistics & Probability Letters.
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article0
2001Extended covariance identities and inequalities In: Statistics & Probability Letters.
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article0
2008Isoperimetric and related bounds on configuration spaces In: Statistics & Probability Letters.
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article0
2015Supermodular ordering of Poisson arrays In: Statistics & Probability Letters.
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article0
2009Sensitivity analysis and density estimation for finite-time ruin probabilities In: Post-Print.
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paper2
2000White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance In: Finance and Stochastics.
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article23
2004Computations of Greeks in a market with jumps via the Malliavin calculus In: Finance and Stochastics.
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article9
2009Stein estimation of Poisson process intensities In: Statistical Inference for Stochastic Processes.
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article1
2016Analytic bond pricing for short rate dynamics evolving on matrix Lie groups In: Quantitative Finance.
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article2
2009Numerical computation of Theta in a jump-diffusion model by integration by parts In: Quantitative Finance.
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article0
2008BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0

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